Infinite dimensional affine term structure models under incomplete information

DOI10.6094/UNIFR/14218MaRDI QIDQ4601039zbMATH OpenFDO

Authors Weijun Yu

Publication date 18 January 2018

Full work available at URL http://d-nb.info/1150643404/34, http://nbn-resolving.de/urn:nbn:de:bsz:25-freidok-142189

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Interest rates, asset pricing, etc. (stochastic models) (91G30) Martingales and classical analysis (60G46)

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• On the mean field theory of ensemble Kalman filters for SPDEs
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• Finite-rank approximation of affine processes on positive Hilbert-Schmidt operators
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